Perhaps they referenced this guide to create a bootable Live USB on Windows, allowing them to test drive something like Ubuntu without making any changes to their PC.

How to make a bootable USB drive If you're trying to install a new operating system or flash your BIOS, you're going to need a bootable USB drive - here's how to make one.

Once you’ve got it burned to CD, boot your PC with that CD in the drive, wait a few minutes, and you’ll be booted into Umbuntu Linux. Then select System • Administration • Create a USB ...